Computing equilibria of GEI by relocalization on a Grassmann manifold

DOI10.1016/0304-4068(95)00752-0MaRDI QIDQ1363090zbMATH OpenOpenAlexFDO

Authors B. Curtis Eaves, Peter M. DeMarzo

Publication date 1 December 1997

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/0304-4068(95)00752-0

zbMATH Keywords

Grassmann manifoldincomplete asset marketscomputation of equilibriaroute-following

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Global methods, including homotopy approaches to the numerical solution of nonlinear equations (65H20) General equilibrium theory (91B50)

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Cited in

(12)

• A smooth homotopy method for incomplete markets
• A homotopy algorithm and an index theorem for the general equilibrium model with incomplete asset markets
• General equilibrium models and homotopy methods
• The index theorem for a GEI economy when the degree of incompleteness is even.
• Computing equilibria in economies with incomplete markets, collateral and default penalties
• Two-stage stochastic variational inequalities: an ERM-solution procedure
• Failure of the index theorem in an incomplete market economy
• Computing equilibria in the general equilibrium model with incomplete asset markets
• A new proof of the index formula for incomplete markets
• A simple method for computing equilibria when asset markets are incomplete
• An interior-point algorithm for computing equilibria in economies with incomplete asset markets
• Determination of general equilibrium with incomplete markets and default penalties

Describes a project that uses

Uses Software

• PITCON
• HOMPACK

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